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Date: 4-4-2019 Initiator: BarrySchachter
Stress Testing by Financial Intermediaries: Implications for Portfolio Selection and Asset PricingFinancial intermediaries often use stress testing to set risk exposure limits. Accordingly, we examine a model with an agent who faces stress testing constraints and another who does not. Three result...
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Date: 4-4-2019 Initiator: BarrySchachter
Rearranging Edgeworth-Cornish-Fisher ExpansionsThis paper applies a regularization procedure called increasing rearrangement to monotonize Edgeworth and Cornish-Fisher expansions and any other related approximations of distribution and quantile fu...
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Date: 4-4-2019 Initiator: BarrySchachter
Nut, Gebruik en Beperkingen van Value-at-Risk voor Risicomanagement...
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Date: 4-4-2019 Initiator: BarrySchachter
Anybody can do Value at Risk: A Teaching Study using Parametric Computation and Monte Carlo SimulationThe three main Value at Risk (VaR) methodologies are historical, parametric and Monte Carlo Simulation. Cheung & Powell (2012), using a step-by-step teaching study, showed how a nonparametric historic...
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Date: 4-4-2019 Initiator: BarrySchachter
Value at risk methodology of international index portfolio under soft conditions (fuzzy-stochastic approach)The approach to modelling uncertainty of the international index portfolio by the value at risk (VAR) methodology under soft conditions by fuzzy-stochastic methodology is described in the paper. The g...
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Date: 4-4-2019 Initiator: BarrySchachter
Optimal Liquidation Strategies Regularize Portfolio SelectionWe consider the problem of portfolio optimization in the presence of market impact, and derive optimal liquidation strategies. We discuss in detail the problem of nding the optimal portfolio under Ex...
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Date: 4-1-2019 Initiator: BarrySchachter
Applied Quantitative FinanceApplied Quantitative Finance presents solutions, theoretical developments and method proliferation for many practical problems in quantitative finance. The combination of practice and theory supported...
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Date: 3-27-2019 Initiator: BarrySchachter
Robust Linkages between CDS and Credit SpreadsWe propose a new statistical technique, namely the wild bootstrap base method, to study the relationship between the CDS and the bond credit spreads. The finite sample properties of this statistical m...
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Date: 3-27-2019 Initiator: BarrySchachter
Measuring Market Liquidity Risk - Which Model Works Best?Market liquidity risk, the difficulty or cost of trading assets in crises, has been recognizedas an important factor in risk management. Literature has already proposedseveral models to include liquid...
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Date: 3-25-2019 Initiator: BarrySchachter
The Accuracy of Density Forecasts from Foreign Exchange OptionsFinancial decision makers often consider the information in currency option valuations when making assessments about future exchange rates. The purpose of this paper is to systematically assess the q...
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Date: 3-25-2019 Initiator: BarrySchachter
Estimating Credit Spread Risk Using Extreme Value TheoryIn 1998, many fixed income investors grossly underestimated the extent of credit spread risk. The main reasons were a failure to take heavy tails into account when estimating risk, and a failure to i...
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Date: 3-25-2019 Initiator: BarrySchachter
Bedingte und Mehrperiodige Risikomasse...
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Date: 3-25-2019 Initiator: BarrySchachter
A Unified Approach to Generate Risk MeasuresThe paper derives many existing risk measures and premium principles by minimizing a Markov bound for the tail probability. Our approach involves two exogenousfunctions and another exogenous parameter...
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Date: 3-25-2019 Initiator: BarrySchachter
A Heuristic Approach to Portfolio OptimizationConstraints on downside risk, measured by shortfall probability, expected shortfall, semi-variance etc., lead to optimal asset allocations which differ from the meanvariance optimum. The resulting opt...
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Date: 3-25-2019 Initiator: BarrySchachter
Parameter Estimation for the Tail Distribution of a Random SequenceThe tail Yt = Xt – u of a random sequence {Xt ? R , t ? Z } with identically distributed Xt is approximated by the generalized Pareto distribution according to the extreme value theory, wherein Yt occ...
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